Do stock-level liquidity shocks predict stock returns? - Evidence from the Swedish stock market
Adopting a methodology similar to Bali, Peng, Shen and Tang (2014), this essay investigates whether stock-level liquidity shocks predict future returns on the Swedish stock market. Liquidity is measured by the relative bid-ask spread. Portfolios with stocks that experienced positive liquidity shocks yield higher returns than portfolios with stocks that experienced negative liquidity shocks. The me
